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2341
result(s)
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Staff Working Paper 2006-48
David Bolder
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Interest rates
JEL Code(s):
C,
C0,
C6,
E,
E4,
G,
G1
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector
Staff Working Paper 2006-47
Miroslav Misina,
David Tessier,
Shubhasis Dey
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
C,
C1,
C15,
G,
G2,
G21,
G3,
G33
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation
Staff Working Paper 2006-46
Sharon Kozicki,
P. A. Tinsley
Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Monetary policy and uncertainty
JEL Code(s):
E,
E3,
E5
The Role of Debt and Equity Finance over the Business Cycle
Staff Working Paper 2006-45
Francisco Covas,
Wouter den Haan
The authors show that debt and equity issuance are procyclical for most listed U.S. firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial stability
JEL Code(s):
E,
E3,
G,
G1,
G3
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation
Staff Working Paper 2006-44
Michael R. King,
Dan Segal
The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
International topics
JEL Code(s):
G,
G1,
G12,
G15
ToTEM: The Bank of Canada's New Quarterly Projection Model
Technical Report No. 97
Stephen Murchison,
Andrew Rennison
The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E1,
E17,
E2,
E20,
E3,
E30,
E4,
E40,
E5,
E50,
F,
F4,
F41
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets
Staff Working Paper 2006-43
Alexander Melnikov,
Yuliya Romanyuk
The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
D,
D8,
D81,
G,
G1,
G10,
G12
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
Staff Working Paper 2006-42
Céline Gauthier,
Fuchun Li
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
C,
C5,
E,
E4
An Optimized Monetary Policy Rule for ToTEM
Staff Working Paper 2006-41
Jean-Philippe Cayen,
Amy Corbett,
Patrick Perrier
The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52